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Syst"],"published-print":{"date-parts":[[2021,8]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>Let <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\xi _1,\\xi _2,\\ldots $$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:msub>\n                      <mml:mi>\u03be<\/mml:mi>\n                      <mml:mn>1<\/mml:mn>\n                    <\/mml:msub>\n                    <mml:mo>,<\/mml:mo>\n                    <mml:msub>\n                      <mml:mi>\u03be<\/mml:mi>\n                      <mml:mn>2<\/mml:mn>\n                    <\/mml:msub>\n                    <mml:mo>,<\/mml:mo>\n                    <mml:mo>\u2026<\/mml:mo>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula> be independent, identically distributed random variables with infinite mean <jats:inline-formula><jats:alternatives><jats:tex-math>$${\\mathbf {E}}[|\\xi _1|]=\\infty .$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>E<\/mml:mi>\n                    <mml:mo>[<\/mml:mo>\n                    <mml:mo>|<\/mml:mo>\n                    <mml:msub>\n                      <mml:mi>\u03be<\/mml:mi>\n                      <mml:mn>1<\/mml:mn>\n                    <\/mml:msub>\n                    <mml:mo>|<\/mml:mo>\n                    <mml:mo>]<\/mml:mo>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:mi>\u221e<\/mml:mi>\n                    <mml:mo>.<\/mml:mo>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula> Consider a random walk <jats:inline-formula><jats:alternatives><jats:tex-math>$$S_n=\\xi _1+\\cdots +\\xi _n$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:msub>\n                      <mml:mi>S<\/mml:mi>\n                      <mml:mi>n<\/mml:mi>\n                    <\/mml:msub>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:msub>\n                      <mml:mi>\u03be<\/mml:mi>\n                      <mml:mn>1<\/mml:mn>\n                    <\/mml:msub>\n                    <mml:mo>+<\/mml:mo>\n                    <mml:mo>\u22ef<\/mml:mo>\n                    <mml:mo>+<\/mml:mo>\n                    <mml:msub>\n                      <mml:mi>\u03be<\/mml:mi>\n                      <mml:mi>n<\/mml:mi>\n                    <\/mml:msub>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula>, a stopping time <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\tau =\\min \\{n\\ge 1: S_n\\le 0\\}$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>\u03c4<\/mml:mi>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:mo>min<\/mml:mo>\n                    <mml:mo>{<\/mml:mo>\n                    <mml:mi>n<\/mml:mi>\n                    <mml:mo>\u2265<\/mml:mo>\n                    <mml:mn>1<\/mml:mn>\n                    <mml:mo>:<\/mml:mo>\n                    <mml:msub>\n                      <mml:mi>S<\/mml:mi>\n                      <mml:mi>n<\/mml:mi>\n                    <\/mml:msub>\n                    <mml:mo>\u2264<\/mml:mo>\n                    <mml:mn>0<\/mml:mn>\n                    <mml:mo>}<\/mml:mo>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula> and let <jats:inline-formula><jats:alternatives><jats:tex-math>$$M_\\tau =\\max _{0\\le i\\le \\tau } S_i$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:msub>\n                      <mml:mi>M<\/mml:mi>\n                      <mml:mi>\u03c4<\/mml:mi>\n                    <\/mml:msub>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:msub>\n                      <mml:mo>max<\/mml:mo>\n                      <mml:mrow>\n                        <mml:mn>0<\/mml:mn>\n                        <mml:mo>\u2264<\/mml:mo>\n                        <mml:mi>i<\/mml:mi>\n                        <mml:mo>\u2264<\/mml:mo>\n                        <mml:mi>\u03c4<\/mml:mi>\n                      <\/mml:mrow>\n                    <\/mml:msub>\n                    <mml:msub>\n                      <mml:mi>S<\/mml:mi>\n                      <mml:mi>i<\/mml:mi>\n                    <\/mml:msub>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula>. We study the asymptotics for <jats:inline-formula><jats:alternatives><jats:tex-math>$${\\mathbf {P}}(M_\\tau &gt;x),$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>P<\/mml:mi>\n                    <mml:mo>(<\/mml:mo>\n                    <mml:msub>\n                      <mml:mi>M<\/mml:mi>\n                      <mml:mi>\u03c4<\/mml:mi>\n                    <\/mml:msub>\n                    <mml:mo>&gt;<\/mml:mo>\n                    <mml:mi>x<\/mml:mi>\n                    <mml:mo>)<\/mml:mo>\n                    <mml:mo>,<\/mml:mo>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula> as <jats:inline-formula><jats:alternatives><jats:tex-math>$$x\\rightarrow \\infty $$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>x<\/mml:mi>\n                    <mml:mo>\u2192<\/mml:mo>\n                    <mml:mi>\u221e<\/mml:mi>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula>.<\/jats:p>","DOI":"10.1007\/s11134-020-09661-z","type":"journal-article","created":{"date-parts":[[2020,6,23]],"date-time":"2020-06-23T11:02:52Z","timestamp":1592910172000},"page":"211-223","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Maximum on a random time interval of a random walk with infinite mean"],"prefix":"10.1007","volume":"98","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0025-7140","authenticated-orcid":false,"given":"Denis","family":"Denisov","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2020,6,23]]},"reference":[{"key":"9661_CR1","doi-asserted-by":"publisher","first-page":"354","DOI":"10.1214\/aoap\/1028903531","volume":"8","author":"S Asmussen","year":"1998","unstructured":"Asmussen, S.: Subexponential asymptotics for stochastic processes: extremal behaviour, stationary distributions and first passage probabilities. 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